Computing Monte Carlo Standard Error for an arbitrary function

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@MansMeg 已经在做这个了。

开始于 2020年1月3日。

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feature

Hi!

Me, @paul-buerkner and @avehtari discussed the need for computing the MCSE for different functions of interest, such as the marginal variances, skewness and kurtosis of individual parameters. I think this functionality is probably best to implement directly into the posterior package. Aki suggested to use the batch means and subsampling approaches of https://projecteuclid.org/download/pdfview_1/euclid.ejs/1417615759 and I could implement this into posterior since I need to implement it anyway.

The most important part for me to know is how you would like the API to look. This is my first suggestion, feel free to comment or come up with a better suggestion.

monte_carlo_standard_error(x, FUN = mean)

where x is a draws object and FUN is an arbitrary function that operates on the individual parameters (rv?) of the draws object. It returns an object similar to summary() but with column with the names:
[parameter_name]_[function_name] and [parameter_name]_[function_name]_se

Any thoughts or comments before I get started?

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